Ph.D. Student in Mathematical Finance / Financial Risk Modelling
Financial and Actuarial Mathematics,
We are looking for a Ph.D. student for the broad areas of credit risk models, credit derivatives or general dependence modelling in risk management. The position is in the Christian Doppler Laboratory on Portfolio Risk Management (PRisMa Lab). The laboratory is located within the research group for financial and actuarial mathematics at the Vienna University of Technology, it is headed by Prof. Uwe Schmock. The laboratory is funded by the Christian Doppler Research Association, which is a non-profit association aiming to promote high-quality research, development and knowledge transfer in Austria. The research is carried out jointly with the Bank Austria, the Austrian Federal Financing Agency (ÖBFA) and FJA Feilmeier & Junker. Your main area of activity will be high-quality research in "Modelling, pricing, and hedging counterparty credit exposure" (see the recent Springer book by Cesari et al. with the same title for details), in particular joint modelling of the dependence of market dynamics and default mechanisms, the integration of historical and market implied data, and the development of efficient numerical algorithms for portfolios with complex products, always with a view towards practical applicability.
We offer you to work on the forefront of current mathematical research, within a highly active and distinguished research group (Prof. Uwe Schmock, Dr. Stefan Gerhold, Prof. Peter Grandits, Prof. Friedrich Hubalek, Dr. Reinhold Kainhofer, Dr. Hannes Kazianka), and in close cooperation with the specialists of our financial industry partners. We expect you to have some background in financial mathematics, programming with R, Matlab, etc. and C or C++, basic knowledge in numerical mathematics and writing mathematics with LaTeX.
There are no teaching duties associated with these positions. The planned starting date is as soon as possible (preferrably beginning of May), but flexible. The salaries for the position are based on the http://www.fwf.ac.at/de/projects/personalkostensaetze.html FWF guidelines. We strongly encourage applications of female candidates.
Your application has to be in English or German and should arrive by April 6, 2010.
Send your application to the office address firstname.lastname@example.org. Please join all your attached documents into a single file if possible.
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